A&O Shearman | FinReg | Federal Reserve Bank of New York Announces Plans to Begin Publication of Treasury Repo Reference Rates on April 3, 2018
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  • Federal Reserve Bank of New York Announces Plans to Begin Publication of Treasury Repo Reference Rates on April 3, 2018
    02/28/2018
    The Federal Reserve Bank of New York has announced it will begin publication of three Treasury repo reference rates on April 3, 2018. The rates will reflect data from the previous day and will be published each day at approximately 8:00 a.m. Eastern Time.

    These rates include the Secured Overnight Financing Rate (SOFR), which will be based on triparty repo data from Bank of New York Mellon and cleared bilateral and GCF Repo data from the Depository Trust & Clearing Corporation; the Triparty General Collateral Rate (TGCR), which will solely include triparty repo data; and the Broad General Collateral Rate (BGCR), which will be based on triparty repo data and GCF Repo data. In December, the Alternative Reference Rates Committee recommended SOFR as an alternative to U.S. dollar LIBOR in certain new U.S. dollar derivatives and other financial contracts.

    Further, the New York Fed announced that on April 3, 2018 it will publish additional information regarding the administration of the reference rates, including contingency plans related to data sufficiency, the revision policy and oversight of the rates.

    View the Federal Reserve Bank of New York's statement.

    Return to main website.
    Topics: Derivatives, LIBOR Transition

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